EDHEC-Risk Institute October 2016

Multi-Dimensional Risk and Performance Analysis for Equity Portfolios — October 2016

About the Authors

Kevin Giron is a Quantitative Research Engineer at EDHEC-Risk Institute. He carries out research linked to the use of stochastic and econometric calculation techniques. He holds an MSc in Statistics from the Ecole Nationale de la Statistique et de l’Analyse de l’Information (ENSAI) with majors in Financial Engineering and Risk Management as well as a Master’s degree in Research and Advanced Studies in Finance from the Institut de Gestion de Rennes (IGR). Lionel Martellini is Professor of Finance at EDHEC Business School and Director of EDHEC-Risk Institute. He has graduate degrees in economics, statistics, and mathematics, as well as a PhD in finance from the University of California at Berkeley. Lionel is a member of the editorial board of the Journal of Portfolio Management and the Journal of Alternative Investments . An expert in quantitative asset management and derivatives valuation, his work has been widely published in academic and practitioner journals and he has co-authored textbooks on alternative investment strategies and fixed-income securities. Vincent Milhau is Deputy Scientific Director of EDHEC-Risk Institute. He holds master's degrees in statistics (ENSAE) and financial mathematics (Université Paris VII), as well as a PhD in finance (Université de Nice-Sophia Antipolis). His research focus is on portfolio selection problems and continuous-time asset-pricing models.

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An EDHEC-Risk Institute Publication